If you try to leash a tamed undead horse it will either bring you to the inventory or make you ride (depending on if you shift click)
To duplicate:
get tamed zombie or skele horse
try to leash
Environment
OS: Windows 8 (ver 6.2, arch x86)
Java: 1.7.0_21 (by Oracle Corporation)
Launcher: 0.8.2 (Dev) (bootstrap 2)
Unable to reproduce.